Cygwin is a Unix environment that runs on your Windows computer, allowing you to use Unix programs in a Windows environment. It comes with a fairly intuitive setup program, which you can find at http://www.cygwin.com/setup.exe. Here's some tips on installing:
For a download directory, pick a folder that the files can reside in for a while - Cygwin uses them later on if you want to change the installation. If they get deleted, Cygwin's setup can get confused and re-download packages, which sucks if you have a slow internet connection (like me).
I've found that http://mirror.rcn.net is a good host to choose as a mirror, but feel free to experiment.
You'll want to add a few programs to the default installed list:
Under devel:
- gcc
- make
Under interpreters:
- perl
Under net:
- openssh
Under editors:
- emacs
- vim
Under games:
- fortune (you can't live without a little entertainment, after all)
Cygwin comes with a whole host of interesting packages that you can play with - browse through the categories and download things that you might like to play with.